One of the most important research streams in finance is to understand the determinants of stock market dynamics. Using a large amount of linguistic data regarding 960,808 posts during a 5‐year time period (from March 1, 2008, to August 31, 2013), we develop an economics blogs pessimism indicator (consid- ered as a proxy for either investor sentiment or risk aversion), and we show its validity to build performing trading strategies.
Farina, V., Parisi, A., Pomante, U. (2017). Economics blogs sentiment and asset prices. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 22(4), 341-351 [10.1002/ijfe.1591].
Economics blogs sentiment and asset prices
FARINA, VINCENZO;PARISI, ANTONIO;POMANTE, UGO
2017-01-01
Abstract
One of the most important research streams in finance is to understand the determinants of stock market dynamics. Using a large amount of linguistic data regarding 960,808 posts during a 5‐year time period (from March 1, 2008, to August 31, 2013), we develop an economics blogs pessimism indicator (consid- ered as a proxy for either investor sentiment or risk aversion), and we show its validity to build performing trading strategies.File in questo prodotto:
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